Testing for deterministic trend and seasonal components in time series models

DOI10.1093/BIOMET/70.3.673zbMATH Open0522.62070OpenAlexW1974608936MaRDI QIDQ3672934FDOQ3672934

Andrew C. Harvey, L. Franzini

Publication date: 1983

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3c0d1b01fec4ec6f5e1285fd3273930a368ea99b

zbMATH Keywords

forecastingtime series modelstime-varying parameterdeterministic trendgeneralized least squaresmost powerful invariant testseasonal componentstables of critical values

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (7)

• On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
• Changes in seasonal patterns. Are they cyclical?
• A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
• A simple test for stable seasonality
• Time series analysis of covariance based on linear transfer function models
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Changes in seasonal patterns

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